The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.
- Quasi-sure stochastic analysis
- Robust hedging
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty